I am really not sure if I understand correctly, but if you copy some cd-rom or usb flash or st. you have to use propriate file in the /dev directory eg. /dev/cdrom or /dev/sda. But I used it only for few times. Also I am not sure, if there is possible to make a copy of directory using this way, because there can be stored other directories everywhere in some device so i think that dd can be used only for coppying files eg. of devices.

So it could look somethink like:
dd if=/dev/cdrom of=/home/user/Desktop/MyCD.iso

I am not sure, but I think that you can erase part of your disk by using command like that, because I destroyed my system this way. I am using flash disc /dev/sdb until this time for this case.

dd works with file content and a directory has no content at all, that's why you are getting the error.

As 012345JOsh says, you should point your "if" to the file that represents your removable media.

Regards